If you've checked that the autoformat/autoformat as you type options for this feature (Alt, T, A) are turned on then what happens
when you type the following
Change -- to dash

Connecting--dash

For me the first example didn't change until the space after the word 'to' was typed in Word 2007, but the second example came when
typing space immediately after 'dash'

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<<"VCuser" <VCuser@discussions.microsoft.com> wrote in message news:5DC0E445-126C-457D-971E-E60509EF2011@microsoft.com...
The instructions for having that substitution made automatically when the
double hyphens are typed are clear enough. The problem is that it doesn't work.>>
--

"VCuser" <VCuser@discussions.microsoft.com> wrote in message
news:5DC0E445-126C-457D-971E-E60509EF2011@microsoft.com...
> The instructions for having that substitution made automatically when the
> double hyphens are typed are clear enough. The problem is that it doesn't
> work.
>